I just had this exact problem where it seemed like I had even copied the name of the exception and yet it didn’t catch it. It turned out it was my stupid mistake but I thought I should post my case here in case there is someone else in the same situation.
I had my exception in my namespace called A and the script was in a namespace called B. The problem was that I had A\MyException which equals (in PHP) \B\A\MyException (because my script is in the namespace called B!). All I had to do to fix it was to add backslash (or whatever it’s called) to the exception name so it would look like this: \A\MyException